Stochastic volatility modeling
- Boca Raton : CRC Press, 2016
- xvi, 506 p. ; ill., 24 cm
- Chapman & Hall CRC financial mathematics series .
Includes bibliographical references and index.
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c.